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Modelling, Estimation and Visualization of Multivariate Dependence for High-frequency Data

In: Statistical Modelling and Regression Structures

Author

Listed:
  • Erik Brodin

    (Chalmers University of Technology, Department of Mathematical Sciences)

  • Claudia Klüppelberg

    (Technische Universitöat München, Center for Mathematical Sciences)

Abstract

Dependence modelling and estimation is a key issue in the assessment of financial risk. It is common knowledge meanwhile that the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a dependence function, which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure of this function. To show our new method at work we apply it to a financial data set of high-frequency stock data and estimate the extreme dependence in the data. Among the results in the investigation we show that the extreme dependence is the same for different time scales. This is consistent with the result on high-frequency FX data reported in Hauksson et al. (2001). Hence, the different asset classes seem to share the same time scaling for extreme dependence. This time scaling property of high-frequency data is also explained from a theoretical point of view.

Suggested Citation

  • Erik Brodin & Claudia Klüppelberg, 2010. "Modelling, Estimation and Visualization of Multivariate Dependence for High-frequency Data," Springer Books, in: Thomas Kneib & Gerhard Tutz (ed.), Statistical Modelling and Regression Structures, pages 267-300, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2413-1_15
    DOI: 10.1007/978-3-7908-2413-1_15
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